Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0879 |
| Annualized Std Dev | 0.2084 |
| Annualized Sharpe (Rf=0%) | 0.4220 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3694.0000 |
| NAs | 1.0000 |
| Minimum | -0.1196 |
| Quartile 1 | -0.0043 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1353 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.2162 |
| Kurtosis | 15.6086 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5412 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0178 |
| Modified ES (95%) | -0.0178 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2008-11-20 | 2011-05-02 | -0.5412 | 956 | 344 | 612 |
| 2020-02-20 | 2020-03-23 | 2020-08-17 | -0.3193 | 125 | 23 | 102 |
| 2011-05-03 | 2011-10-03 | 2013-01-04 | -0.2494 | 420 | 107 | 313 |
| 2018-09-24 | 2018-12-24 | 2019-04-23 | -0.1903 | 145 | 64 | 81 |
| 2015-03-03 | 2015-08-25 | 2016-04-01 | -0.1165 | 274 | 123 | 151 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | -0.9 | 0.8 | 0 | -0.5 | -0.8 | -0.5 | -1.9 |
| 2007 | 1 | -0.4 | -0.2 | 0 | 0.5 | 0 | 1 | 1.4 | 1.4 | -2 | 0.2 | -0.5 | 2.5 |
| 2008 | 2.5 | -3.1 | 2.7 | 1.9 | 0 | -0.8 | -1.1 | -1.6 | 0 | 1.3 | -10.1 | 1.2 | -7.5 |
| 2009 | -3 | -2.3 | 2 | 1.1 | 3 | 0 | 0.9 | -1.1 | -1.7 | -1.5 | 1.4 | -1.1 | -2.5 |
| 2010 | 0.8 | 1.3 | 0.7 | -1.4 | -1.4 | -0.3 | -0.1 | 3.3 | 0.4 | 0 | 1.8 | 0.2 | 5.4 |
| 2011 | 1.9 | -0.7 | 0.6 | -0.3 | -2.1 | 1.5 | -1.2 | -0.9 | -3 | -3.9 | 1.1 | 0 | -6.9 |
| 2012 | 1.9 | 0.8 | 0 | 1.4 | -2.8 | -0.2 | 0.1 | 0.5 | 0.4 | 1.4 | -0.5 | 0.7 | 3.7 |
| 2013 | 1.1 | 0.1 | -0.6 | -0.7 | -0.1 | 0.5 | 1.3 | -0.5 | 0.4 | 0.2 | -0.2 | 0.3 | 1.8 |
| 2014 | -0.7 | 0.7 | 0.4 | -0.1 | 0.5 | 0.7 | -0.4 | 0 | -1.5 | 1.2 | -0.4 | -0.7 | -0.4 |
| 2015 | -1.7 | -0.2 | -0.6 | 1.3 | 0.4 | 0.9 | -0.1 | -2.7 | -0.2 | -0.5 | 0.5 | -1 | -4.1 |
| 2016 | 0.4 | 1.7 | 0.8 | -0.5 | 0.3 | 0.4 | 0 | 0.1 | 0.8 | -0.8 | -0.6 | -0.5 | 2.2 |
| 2017 | -0.4 | 1.3 | -0.2 | 0 | 0.6 | 0.2 | 0.5 | -0.1 | 0.5 | 0 | -0.4 | -0.3 | 1.8 |
| 2018 | 0.2 | -1.9 | 1.2 | -0.1 | 1 | 0.3 | -0.5 | 0.2 | 0.4 | 0.6 | 1 | 1.2 | 3.6 |
| 2019 | 0.3 | 0.4 | 1.2 | -1 | -1.1 | 0.7 | -0.7 | 0 | -1.3 | 0.4 | -0.3 | 0 | -1.3 |
| 2020 | -1.7 | -1.1 | -3.9 | -1.8 | 0 | 0.6 | 0.5 | 0.4 | 0.6 | -0.2 | 0.8 | 0.7 | -5.2 |
| 2021 | 1.1 | 1.7 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-07-11 19.9 SPY 127. 0.0044 -0.0031 0.0164 -0.018 0.0449 0.283 0.0267 GLD 63.8 0.0289 0.0262
2 2006-07-12 19.7 SPY 126. -0.0107 -0.008 0.0166 -0.0201 0.031 0.258 0.0359 GLD 64.9 0.0174 0.0387
3 2006-07-13 19.4 SPY 124 -0.0163 -0.027 0.0118 -0.0379 0.0128 0.231 0.0416 GLD 65.6 0.0097 0.0401
4 2006-07-14 19.4 SPY 124. -0.0039 -0.0244 0.0002 -0.0403 0.005 0.229 0.0319 GLD 65.8 0.0046 0.0514
5 2006-07-17 19.3 SPY 123. -0.0015 -0.0277 -0.022 -0.0413 0.0041 0.234 0.043 GLD 64.0 -0.0289 0.0311
6 2006-07-18 19.2 SPY 124. 0.0051 -0.027 -0.0055 -0.0515 0.0132 0.259 0.0472 GLD 62.9 -0.0164 -0.0143
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
